Meeting of the Federal Open Market Committee
May 7, 2002 Presentation Materials -- Text Version
Presentation Materials (363 KB PDF)
Pages 76 to 81 of Transcript
Appendix 1: Materials used by Mr. Kos
Page 1
Top panel
Title: Rates Implied by Eurodollar Futures Curve
Series: Implied Rates on Eurodollar Futures Contracts
Horizon: March 19, 2002 - May 6, 2002
Description: The Eurodollar Futures curve shifted downwards for contracts expiring from June 2002 to September 2004.
Source: Bloomberg
Middle-left panel
Title: 2- Year Treasury Yield
Series: 2- Year Treasury Yield
Horizon: January 2, 2002 - May 6, 2002
Description: Over the time horizon, 2- year treasury yields reached their peak just after the March 19th FOMC meeting,
and declined steadily thereafter.
Source: Bloomberg
Middle-right panel
Title: 10- Year Treasury Yield
Series: 10- Year Treasury Yield
Horizon: January 2, 2002 - May 6, 2002
Description: Over the time horizon, 10- year treasury yields reached their peak just after the March 19th FOMC meeting,
and declined steadily thereafter.
Source: Bloomberg
Bottom panel
Title: 10- Year Treasury Inflation-Indexed Spread to 10- Year Treasury Nominal Note
Series: 10- Year TIPS break-even spread
Horizon: January 2, 2002 - May 6, 2002
Description: Over the time horizon, 10-year break-even inflation rates steadily increased leading up to the March 19th
FOMC meeting, and remained range bound thereafter.
Source: Bloomberg
Page 2
Top panel
Title: Average Treasury Issuance by Instrument ex. TIIS (January - April)
Series: 2001 and 2002 average issuance of bills, 2- year, 5- year, 10- year, and 30- year bonds.
Horizon: January through April; 2001 and 2002
Description: Issuance in each sector was greater in 2002, with the exception of the 30- year which was only issued in 2001.
Bottom panel
Title: US 10- Year Swap Spread to 10- Year Treasury Note
Series: US 10- Year Swap Spread to 10- Year Treasury Note
Horizon: January 1, 1998 to May 6, 2002
Description: Swap spreads trended upwards until mid-2000, at which point they trended downward.
Source: Bloomberg
Page 3
Top-left and top-right panels
Title: Spreads to AA Industrial Corporate Index
Series: A, BBB and BB Industrial Corporate Index spreads to AA Industrial Corporate Index
Horizon: January 2, 2002 to May 6, 2002
Description: Over the time horizon, 'BBB' spreads widened, while 'A' and 'BB' spreads narrowed. Particularly, 'BB' spreads
narrowed sharply in early March.
Source: Merrill Lynch
Bottom panel
Title: Telecom and Broad Corporate Index Spreads to Treasury Index
Series: Telecom and Corporate Master Indices spreads to Treasury
Horizon: January 2, 2002 to May 6, 2002
Description: Spreads on the Corporate Master Index were little changed, while spreads on the Telecom Index widened.
Telecom spreads widened sharply after Worldcom cut its forecast on April 19, 2002.
Source: Merrill Lynch
Page 4
Top panel
Title: Selected Foreign Currencies Versus U.S. Dollar
Series: Australian Dollar, British pound, Euro, Japanese Yen, Mexican Peso, and Swiss Franc
Horizon: January 2, 2002 to May 6, 2002
Description: Most currencies strengthened against the dollar with the exception of the Mexican Peso.
Source: Bloomberg
Middle panel
Title: Selected Stock Indices Relative to S&P 500
Series: Australian AS30, Bolsa, French CAC, FTSE, German DAX, Hang Seng, Nikkei, Swiss Market Index
Horizon: January 2, 2002 to May 6, 2002
Description: Each index outperformed the S&P 500, with the Bolsa and Nikkei the top performers.
Source: Bloomberg
Bottom-left and bottom-right panels
Title: US vs. Euro Interest Rate Differentials
Series: 3-Month: US Libor - Euribor and 10-Year: US Swap - Euro Swap
Horizon: January 2, 2002 to May 6, 2002
Description: The 3-Month US Libor - Euribor spread widened, while the 10- Year US - Euro Swap spread narrowed.
Source: Bloomberg
Page 5
Top panel
Title: Bank of Japan Current Account Balances
Series: Bank of Japan Current Account Balances (in ¥Trillion)
Horizon: January 31, 2000 to April 30, 2002 (Month-End Balances)
Description: Japanese current account balances were constant through most of 2001 and 2002, and steadily grew after August 2002.
Source: Bloomberg
Middle panel
Title: Japan's Monetary Base
Series: Japan's Monetary Base (in ¥Trillion)
Horizon: January 31, 2000 to April 30, 2002
Description: Japan's monetary base was constant through most of 2001 and 2002, and steadily grew after September 2002.
Source: Bloomberg
Bottom-left panel
Title: Dollar/Yen
Series: Dollar/Yen
Horizon: January 1, 2002 to May 6, 2002
Description: Over the time horizon, the yen weakened against the dollar.
Source: Bloomberg
Bottom-right panel
Title: 10- Year JGB Yield
Series: 10- Year JGB Yield
Horizon: January 1, 2002 to May 6, 2002
Description: Over the time horizon, the 10- year JGB yield steadily increased through February 2002 and then declined
through May 2002.
Source: Bloomberg
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